LoadSupervisoryCVAData

<p>Loads the supervisory data (factors, correlation and option volatility)
for each Asset Class and SubClass</p>

Calculates a number of valuation adjustments including CVA, DVA,
FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For
the KVA calculation three regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM
and IMM. The probability of default is implied through the credit spreads curve.
The package supports an exposure calculation based on SA-CCR which includes several trade types
and a simulated path which is currently available only for IRSwaps. The latest regulatory capital charge methodologies
have been implementing including BA-CVA & SA-CVA.

Tasos Grivas

Calculates Credit Risk Valuation Adjustments

LoadSupervisoryCVAData function

<p>Tasos Grivas &lt;tasos@openriskcalculator.com&gt;</p>

LoadSupervisoryCVAData: Supervisory Data Loading

Description

Usage

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Author

References